Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0001 |
| Annualized Std Dev | 0.1437 |
| Annualized Sharpe (Rf=0%) | 0.0009 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5588.0000 |
| NAs | 1.0000 |
| Minimum | -0.0898 |
| Quartile 1 | -0.0044 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0047 |
| Maximum | 0.1649 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0091 |
| Skewness | 1.0851 |
| Kurtosis | 27.3524 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0063 |
| Gain Deviation | 0.0070 |
| Loss Deviation | 0.0065 |
| Downside Deviation (MAR=210%) | 0.0116 |
| Downside Deviation (Rf=0%) | 0.0063 |
| Downside Deviation (0%) | 0.0063 |
| Maximum Drawdown | 0.3014 |
| Historical VaR (95%) | -0.0135 |
| Historical ES (95%) | -0.0205 |
| Modified VaR (95%) | -0.0069 |
| Modified ES (95%) | -0.0069 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2002-10-03 | 2008-12-16 | 2012-06-29 | -0.3014 | 2454 | 1563 | 891 |
| 1999-04-27 | 1999-12-20 | 2002-03-04 | -0.2561 | 716 | 166 | 550 |
| 2016-09-07 | 2020-03-23 | NA | -0.2288 | 1142 | 891 | NA |
| 2012-08-02 | 2013-08-16 | 2015-01-29 | -0.1904 | 626 | 261 | 365 |
| 2002-03-05 | 2002-04-19 | 2002-09-11 | -0.0750 | 133 | 33 | 100 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 1.3 | -1.2 | 1.3 | -0.6 | -0.7 | 0.6 | 0 | 0 | -0.7 | 2.2 | 0.8 | 0.8 | 3.8 |
| 2000 | 0 | 1.5 | -1.4 | 1.5 | 1.5 | 0 | 0.7 | 0 | 1.4 | -1.4 | -0.7 | 0.7 | 3.8 |
| 2001 | 0.3 | 0 | 1.2 | 0.6 | -0.1 | 0.6 | 0.5 | -0.1 | -1 | 0.9 | -1.7 | -1.1 | 0.2 |
| 2002 | 0.6 | 0.1 | 1.1 | 0.5 | 0.3 | 0.5 | 1 | -0.9 | 0 | -1 | 0.1 | -0.3 | 2 |
| 2003 | -0.5 | -0.1 | -1.2 | 0 | -0.7 | -0.7 | -2.5 | -0.7 | 0.6 | -0.3 | 0.5 | 0.3 | -5.1 |
| 2004 | 1.2 | 0 | -0.7 | -0.2 | -1.3 | -1 | 0.3 | -0.6 | -0.1 | -1.4 | -2 | 0.4 | -5.3 |
| 2005 | 0.7 | -0.2 | -0.2 | 0.5 | 0.1 | -0.1 | 0.4 | 0.6 | 0 | 0.9 | -0.1 | 0 | 2.7 |
| 2006 | -0.4 | 0.4 | 0.1 | 0.5 | 0.4 | 0.7 | 0.4 | 0 | -1.3 | 0.6 | 0.9 | 1.8 | 4.3 |
| 2007 | 1 | -0.1 | 0.7 | -0.1 | 0.3 | 0.7 | -0.1 | 1.8 | -0.2 | 1.4 | 0.6 | -0.4 | 5.6 |
| 2008 | 0 | -1 | 0.1 | 0.3 | -0.1 | -0.2 | 0.3 | -0.1 | 4.3 | -0.8 | -0.1 | 4.1 | 7 |
| 2009 | -0.2 | -0.5 | -0.1 | 0.8 | -1 | 0 | 0.3 | 1.4 | 0.8 | -1.2 | 0 | 0.1 | 0.4 |
| 2010 | 0 | 0.7 | -0.2 | -0.2 | 0.1 | 1 | -0.8 | 0.6 | 0.8 | -0.3 | -1.1 | 1.5 | 2 |
| 2011 | 0.7 | 0.1 | 0.2 | 1.4 | -0.6 | 0.9 | 0.5 | 0.7 | -0.3 | -0.2 | 0.1 | -0.5 | 3 |
| 2012 | 1 | 0.6 | -0.5 | 0.7 | 0.4 | 0.7 | 1.5 | 0 | 0.4 | -0.8 | 0.5 | 0.3 | 4.7 |
| 2013 | 0.3 | -0.9 | -0.7 | 2.5 | -2.1 | 0.2 | -0.7 | 0.4 | 0 | -0.3 | -0.1 | 0.5 | -0.9 |
| 2014 | 0.4 | 0.1 | -0.7 | 0 | 0.2 | -0.2 | 0.8 | 0.3 | 0.7 | -0.1 | -0.1 | -0.2 | 1.2 |
| 2015 | 0 | 1.5 | 0.2 | -1.2 | 0.9 | -0.5 | 0.6 | 0.5 | 0.8 | -0.1 | 0 | 0.6 | 3.2 |
| 2016 | 0.2 | 0.5 | 0.1 | 0.6 | 0.1 | 0.1 | 0.4 | -0.3 | 0.3 | 0 | -1.2 | -0.9 | -0.1 |
| 2017 | 0 | 0.7 | 0.6 | -0.5 | 0.3 | 0 | 0.9 | -0.2 | 0.3 | 0.3 | 0 | 0 | 2.4 |
| 2018 | -0.1 | -0.1 | 0.4 | 0.1 | -0.3 | 0.3 | 0.5 | 0.9 | -1.1 | -0.1 | 0.4 | -0.2 | 0.8 |
| 2019 | 0.5 | 0.6 | 0.5 | 0.3 | -0.4 | -0.1 | -0.1 | -0.6 | 0 | 0.9 | 0 | 0.8 | 2.4 |
| 2020 | 0.8 | -3.4 | -3.5 | 0.8 | 1.1 | -0.1 | 0.1 | 0.4 | 0.1 | -0.1 | -0.3 | -0.7 | -4.8 |
| 2021 | -0.9 | -0.3 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -1.2 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
